Fiscal policy and asset markets: a semiparametric analysis

DOI10.1016/J.JECONOM.2008.09.007MaRDI QIDQ299268zbMATH OpenOpenAlexFDO

Authors Dennis W. Jansen, Zijun Wang, Jian Yang, Qi Li

Publication date 22 June 2016

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2008.09.007

zbMATH Keywords

fiscal deficitsmonetary policysemiparametric estimationstock market

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Macroeconomic theory (monetary models, models of taxation) (91B64)

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Cites work

• A central limit theorem for generalized quadratic forms
• A consistent test of functional form via nonparametric estimation techniques
• A simple consistent bootstrap test for a parametric regression function
• ADAPTIVE TESTING IN CONTINUOUS-TIME DIFFUSION MODELS
• Central limit theorem for degenerateU-Statistics of Absolutely Regular Processes with Applications to Model Specification Testing
• Consistent hypothesis testing in semiparametric and nonparametric models for econometric time series
• Consistent model specification tests for time series econometric models
• Consistent Model Specification Tests: Omitted Variables and Semiparametric Functional Forms
• Debt-contingent inflation contracts and targets
• Functional-Coefficient Regression Models for Nonlinear Time Series
• scientific article; zbMATH DE number 4073644 (Why is no real title available?)
• Maximum likelihood and the bootstrap for nonlinear dynamic models
• MULTIVARIATE LOCAL POLYNOMIAL REGRESSION FOR TIME SERIES:UNIFORM STRONG CONSISTENCY AND RATES
• Nonparametric Identification of Nonlinear Time Series: Selecting Significant Lags
• Root-N-Consistent Semiparametric Regression
• Semiparametric Non-Linear Time Series Model Selection
• Smoothing Parameter Selection in Nonparametric Regression Using an Improved Akaike Information Criterion
• The Case for Restricting Fiscal Policy Discretion

Cited in

(5)

• Fiscal policy, monetary policy and the efficiency of the stock market
• An improved estimation to make Markowitz's portfolio optimization theory users friendly and estimation accurate with application on the US stock market investment
• Operational aspect of the policy coordination for financial stability: role of Jeffreys-Lindley's paradox in operations research
• Fiscal episodes and market power
• Adaptive estimation of heteroskedastic functional-coefficient regressions with an application to fiscal policy evaluation on asset markets

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